示例#1
0
文件: test_hrp.py 项目: tschm/hrp
def test_quasi_diag():
    prices = get_data()

    # compute returns
    returns = prices.pct_change().dropna(axis=0, how="all").fillna(0.0)

    np.testing.assert_allclose(returns.cov().values,
                               np.genfromtxt(resource("covariance2.csv")))
    np.testing.assert_allclose(returns.corr().values,
                               np.genfromtxt(resource("correlation2.csv")))

    cor = returns.corr().values
    links = linkage(dist(cor), method="single")

    # uncomment this line if you want to generate a new test resource
    # np.savetxt(resource("links.csv"), links, delimiter=",")

    np.testing.assert_array_almost_equal(
        links, np.loadtxt(resource("links.csv"), delimiter=','))

    node = tree(links)

    ids = node.pre_order()
    assert ids == [
        11, 7, 19, 6, 14, 5, 10, 13, 3, 1, 4, 16, 0, 2, 17, 9, 8, 18, 12, 15
    ]

    ordered_tickers = prices.keys()[ids].to_list()
    print(ordered_tickers)
    assert ordered_tickers == [
        'UAA', 'WMT', 'SBUX', 'AMD', 'RRC', 'GE', 'T', 'XOM', 'BABA', 'AAPL',
        'AMZN', 'MA', 'GOOG', 'FB', 'PFE', 'GM', 'BAC', 'JPM', 'SHLD', 'BBY'
    ]
示例#2
0
文件: test_hrp.py 项目: tschm/hrp
def test_hrp():
    prices = get_data()

    root = hrp(prices=prices, method="ward")

    x = pd.read_csv(resource("weights_hrp.csv"),
                    squeeze=True,
                    index_col=0,
                    header=0)
    x.index.name = None

    pd.testing.assert_series_equal(x, root.weights, check_exact=False)
示例#3
0
def test_hrp():
    prices = get_data()

    variance, weights = hrp(prices=prices)

    w = pd.Series(index=prices.keys(), data=weights,
                  name="Weights").sort_index()

    x = pd.read_csv(resource("weights_hrp.csv"),
                    squeeze=True,
                    index_col=0,
                    header=None)
    x.name = "Weights"
    x.index.name = None

    pd.testing.assert_series_equal(x, w, check_exact=False)
示例#4
0
def test_hrp():
    prices = get_data()

    root = hrp(prices=prices)

    # uncomment this line if you want generating a new file
    # root.weights_series(index=list(prices.keys())).to_csv(resource("weights_hrp.csv"), header=False)

    x = pd.read_csv(resource("weights_hrp.csv"),
                    squeeze=True,
                    index_col=0,
                    header=None)
    x.name = "Weights"
    x.index.name = None

    pd.testing.assert_series_equal(x, root.weights, check_exact=False)
示例#5
0
def test_yaml():
    d = read_config(resource("config.yml"))
    assert "BLOOMBERG" in d.keys()
    assert "Clients" in d.keys()
示例#6
0
def test_logging():
    file = resource(name="logging.yaml")
    x = log_config(file=file)
    assert isinstance(x, logging.Logger)